I dual-booted my Windows gaming machine a couple of months ago and I have installed the Windows Steam client, but simply added my existing Windows drive as a repository and can run quite a few of the games with no extra configuration. Here are the results so far:

Mafia 2 - could not start
The Witcher - loaded to menus but game did not start
Metro 2033 - fails to start, just first splash screen and sound for 1 second. There is a native version Metro 2033 Redux, but I do not own that and don't want to pay for it again... I do own Metro Last Light though which is native to Linux